How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
AbstractCurrency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit risk analysis. We compare the models analytical results to actual transaction data thanks to a unique academic database on swap transaction data.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 98-001.
Date of creation: 1998
Date of revision:
Publication status: Published by:
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Postal: CP114/03, 42 avenue F.D. Roosevelt, 1050 Bruxelles
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Web page: http://difusion.ulb.ac.be
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derivatives; swaps; credit risk; transaction data; model calibration.;
Other versions of this item:
- Didier Cossin & Hugues Pirotte, 1998. "How well do classical credit risk pricing models fit swap transaction data?," European Financial Management, European Financial Management Association, vol. 4(1), pages 65-77.
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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- Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
- Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
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